Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
권호 표지

INDEFINITE STOCHASTIC OPTIMAL LQR CONTROL WITH CROSS TERM UNDER IQ CONSTRAINTS

  • Luo, Cheng-Xin (Department of Apllied Mathematics, Dalian University of Technology) ;
  • Feng, En-Min (Department of Apllied Mathematics, Dalian University of Technology)
  • 발행 : 2004.05.01

⟨ 이전 논문 다음 논문 ⟩

초록

A stochastic optimal LQR control problem under some integral quadratic (IQ) constraints is studied, with cross terms in both the cost and the constraint functionals, allowing all the control weighting matrices being indefinite. Sufficient conditions for the well-posedness of this problem are given. When these conditions are satisfied, the optimal control is explicitly derived via dual theory.

키워드

참고문헌

  1. SIAM J. Contr. v.6 On a Riccati equation of stochastic control W. M. Wonham
  2. IEEE Trans. Auto. Contr. v.AC-16 Special issues on linear-quadratic-Guassian problem M. Athens
  3. Lecture Notes in Math. v.972 Lecture on stochastic control Bensonssan A. Bensonssan
  4. IEEE Trans. Aut. Contr. v.45 Linear matrix inequalities, Riccati equations and indefinite stochastic LQ controls M. Ait Rami;X. Y. Zhou
  5. SIAM J. Contr. Optim. v.36 Stochastic LQR with indefinite control weight costs S. Chen;X. Li;X. Y. Zhou
  6. Stochastic controls: Hamiltonian systems and HJB equations J. Yong;X. Y. Zhou
  7. Anderson and J. B. Moore, Optimal Control-Linear Quadratic Methods B. D. O. Anderson;J. B. Moore
  8. Syst. Contr. Lett. v.32 A quasi-separation theorem for LQG optimal control with IQ constraints A. E. B. Lim;J. B. Moore
  9. IEEE Trans. Automatic. Control v.44 Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights A. E. B. Lim;X. Y. Zhou
  10. Optimization by vector space methods D. C. Luenberger